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作者：Cen, Ling; Hertzel, Michael; Schiller, Christoph
作者单位：Chinese University of Hong Kong; Arizona State University; Arizona State University-Tempe
摘要：We develop a measure of the speed of firm-level information diffusion, study how it is affected by limited attention, and examine its effect on real corporate decisions. Using local flu epidemics as exogenous attention shocks, we show that inattention from dual-covering analysts and cross-holding institutions reduces the speed of information diffusion from customer to supplier stock prices. We find that the speed of information diffusion along the supply chain affects the price feedback effect...
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作者：Gargano, Antonio; Sotes-Paladino, Juan; Verwijmeren, Patrick
作者单位：University of Houston System; University of Houston; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Melbourne
摘要：We provide evidence that losses constrain short sellers but not the transmission of information to prices. Using unique data on U.S. equity lending, we document a negative impact of the mark-to-market losses of a stock's short sellers, but no impact of their gains, on the future shorting of the stock. Consistent with funding and institutional constraints limiting short selling, we further show that the effect is highly asymmetric across different loss levels and stronger among stocks facing hi...
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作者：Guijarro-Ordonez, Jorge; Pelger, Markus; Zanotti, Greg
作者单位：Stanford University; Stanford University
摘要：Statistical arbitrage exploits temporal price differences between similar assets. We develop a comprehensive conceptual framework for statistical arbitrage and a novel data-driven solution. First, we construct arbitrage portfolios of similar assets as residual portfolios from conditional latent asset pricing factors. Second, we extract their time-series signals with a powerful machine learning time-series solution, a convolutional transformer. Lastly, we use these signals to form an optimal tr...
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作者：Montoldi, Sergio Azzolari
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作者：Chen, Xi; Simchi-Levi, David; Wang, Yining
作者单位：New York University; Massachusetts Institute of Technology (MIT); University of Texas System; University of Texas Dallas
摘要：This paper introduces a novel contextual bandit algorithm for personalized pricing under utility fairness constraints in scenarios with uncertain demand, achieving an optimal regret upper bound. Our approach, which incorporates dynamic pricing and demand learning, addresses the critical challenge of fairness in pricing strategies. We first delve into the static full-information setting to formulate an optimal pricing policy as a constrained optimization problem. Here, we propose an approximati...
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作者：Avramov, Doron; Lioui, Abraham; Liu, Yang; Tarelli, Andrea
作者单位：Reichman University; Universite Catholique de Lille; EDHEC Business School; University of Hong Kong; Catholic University of the Sacred Heart
摘要：This paper proposes a conditional asset pricing model that integrates environmental, social, and governance (ESG) demand and supply dynamics. Shocks in the demand for sustainable investing represent a novel risk source, characterized by diminishing marginal utility and positive premium. Green assets exhibit positive exposure to ESG demand shocks, hence commanding higher premia. Conversely, time-varying convenience yield leads to lower expected returns for green assets. Moreover, ESG demand sho...
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作者：Brogaard, Jonathan; Sokolov, Konstantin; Zhang, Jiang
作者单位：Utah System of Higher Education; University of Utah; University of Memphis; University of St Thomas Minnesota
摘要：We test competing theories of liquidity dynamics during extreme volatility spikes (EVSs). We find that liquidity providers strategically allow for price pressures and are compensated from correcting pricing errors. As a result, liquidity provision intensifies toward the end of a typical EVS. This goes counter to a widespread concern that marketmaking constraints cause liquidity to deteriorate as EVSs develop. The prevailing limit order book dynamics during EVSs are in line with the socially be...
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作者：Canayaz, Mehmet I.; Cornaggia, Jess; Cornaggia, Kimberly
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the relationship between a firm's successful protest of a government agency's conduct or terms of a procurement contract and the amount of business the firm conducts with the government going forward. We find firms receive fewer and less valuable government contracts, face more contract cancellations, and experience significant reductions in sales growth and employee growth. Despite widespread belief, successful bid protesters do not delay government procurement because of lengthy d...
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作者：Gans, Joshua S.
作者单位：University of Toronto; National Bureau of Economic Research
摘要：This paper robustly concludes that it cannot. A model is constructed under idealized conditions that presume that the risks associated with artificial general intelligence (AGI) are real, that safe AGI products are possible, and that there exist socially minded funders who are interested in funding safe AGI, even if this does not maximize profits. It is demonstrated that a socially minded entity formed by such funders would not be able to minimize harm from AGI that unrestricted products relea...
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作者：Yao, Jiayu; Lin, Mingfeng; Wu, D. J.
作者单位：Nanyang Technological University; University System of Georgia; Georgia Institute of Technology
摘要：Despite the popularity of the phrase wisdom of the crowd, not all crowds are wise because not everyone in them acts in an informed, rational manner. Identifying informative actions, therefore, can help to isolate the truly wise part of a crowd. Motivated by this idea, we evaluate the informational value of investors' bids using data from online, debt-based crowdfunding, in which we were able to track both investment decisions and ultimate repayment statuses for individual loans. We propose sev...
